Volumes 2011-2020

Volume 50, pp. 1-19, 2018.

The Lanczos algorithm and complex Gauss quadrature

Stefano Pozza, Miroslav S. Prani&cacute;, and Zdeněk Strakoš

Abstract

Gauss quadrature can be naturally generalized in order to approximate
quasi-definite linear functionals, where the interconnections with
(formal) orthogonal polynomials, (complex) Jacobi matrices, and the Lanczos algorithm
are analogous to those in the positive definite case.
In this survey we review these relationships
with giving references to the literature that presents them in several related contexts.
In particular,
the existence of the $n$-weight (complex) Gauss quadrature
corresponds to successfully performing the first $n$ steps of the Lanczos algorithm
for generating biorthogonal bases of the two associated Krylov subspaces.
The Jordan decomposition of the (complex) Jacobi matrix can be explicitly expressed in terms of the Gauss quadrature nodes and weights
and the associated orthogonal polynomials.
Since the output of the Lanczos algorithm can be made real whenever the input is real,
the value of the Gauss quadrature is a real number whenever all relevant moments of the quasi-definite linear functional are real.